QSB Box Swap

QSB Box Swaps are used for rolling expirations of standard SPX expiration 1000 strike space Box Spreads to forward standard SPX expirations. By convention, buying a QSB Box Swap is rolling a long Box Spread forward in time (i.e., selling the earlier expiration and buying the later expiration). The figure below illustrates the QSB Box Swap roll expiration pairs.

The EDCID message EDCI Type value for QSB Box Swaps is "QSB" and the EDCI Subtype value is "BOX_SWAP".

The shaded expiration pairs in Figure 3 above are pairs in which the time order of the pair may switch over time. For example, there are times when the first serial contract (Serial-1) expiration is before the first quarterly expiration (Qtr-1) and times when it is after. The shaded expiration pairs indicated in Figure 3 will flip the FROM and TO expirations to maintain the convention that buying the Box Swap rolls a long Box Spread forward in time.

The outlined cell in Figure 3 above indicates a singular expiration pair for which there are times within the calendar year when Qtr-1 and Dec-1 refer to the same contract expiration. During those times when Qtr-1 and Dec-1 resolve to the same contract expiration date, no associated contract spread is created.